open range strategy code – lot of success

• 10/08/2017 at 10:17 PM #48674
  Andyswede

  @Stefanb, yes that´s strange, 1.5 instead of fib in “set target pprofit box*1.5″ and 0,9 in spread, that´s about it.

  

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  10/08/2017 at 10:45 PM #48676
  Stefanb

  Andy

   

  Forget it.

  Wrong by me.

  Sorry

  

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  10/09/2017 at 5:21 AM #48695
  dillongr

  yes that is how I am running it. my entries are on the 2nd 5min close outside the range. Manually it works for for me,  but then again manually you can react to price action on the fly

  

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  10/09/2017 at 5:42 AM #48696
  dillongr

  Thanks Despair.

  That is the problem I am having.  If you manually draw the range with fib extensions, you will see how often those targets are hit, but when we try code it, the results are not what I am seeing.  For example the dow and S&P hit the 261.8 targets 4 times last week.

   

  

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  10/09/2017 at 6:17 AM #48698
  dillongr

  I have made a few changes, still not the results I expect.  On SAF 40 it is looking better, but no trades happening in september

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>=90000 and time <173000 MAL=ExponentialAverage[5](close) > RangeTop MAS=ExponentialAverage[5](close) < RangeBottom once tc=0 if time=90000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) endif if intradaybarindex=0 then tc=0 endif CL=close>RangeTop CS=close<RangeBottom box=RangeTop-RangeBottom if not onmarket and not tc and tradingtime then if CL and MAl then buy 1 contract at market tc=1 elsif CS and MAS then sellshort 1 contract at market tc=1 endif set target pprofit box endif if longonmarket then sell at (RangeBottom*.6) stop elsif shortonmarket then exitshort at (RangeTop*.6) stop endif

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  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>=90000 and time <173000 MAL=ExponentialAverage[5](close) > RangeTop MAS=ExponentialAverage[5](close) < RangeBottom once tc=0   if time=90000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) endif   if intradaybarindex=0 then tc=0 endif   CL=close>RangeTop CS=close<RangeBottom box=RangeTop-RangeBottom   if not onmarket and not tc and tradingtime then if CL and MAl then buy 1 contract at market tc=1 elsif CS and MAS then sellshort 1 contract at market tc=1 endif set target pprofit box endif   if longonmarket then sell at (RangeBottom*.6) stop elsif shortonmarket then exitshort at (RangeTop*.6) stop endif

   

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  dillongr

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  10/09/2017 at 7:05 AM #48701
  dillongr

  I notice that the short targets will not work as we are targeting the top of range,  I am trying to add criteria that defines a 161.8 expansion but I get errors.  Am I coding this correct?

  if longonmarket set target pprofit box*1.61 elsif shortonmarket set target pprofit box*0.61 endif endif

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  if longonmarket set target pprofit box*1.61 elsif shortonmarket set target pprofit box*0.61 endif endif

   

  

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  10/09/2017 at 9:30 AM #48712
  Nicolas

  You should make an indicator of the box and its target/stop and applied it on price, better to get a real idea of what happened or not and what to expect from any possible scenario, just my 2 cents 🙂 Great job everyone!

  

  Nicolas

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  10/09/2017 at 10:53 AM #48746
  dillongr

  good idea Nicolas!  Notice that the dax has broken its open range and on its way to the -61.8 Fibonacci extension.  It has already hit the height of the range target

  

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  10/09/2017 at 1:50 PM #48778
  dillongr

  year is the ORB indicator code.  Is there a way to only show the lines on the current day during trading hours?

   

  if time =090000 then RangeTop=highest[6](high[1]) RangeBottom=lowest[6](low[1]) therange= rangetop-rangebottom tenentrylong=((therange*.3820)+rangetop) tenentryshort=(rangebottom-(therange*.3820)) takeprofitlong=((therange*1.618)+rangetop) takeprofitshort=(rangebottom-(therange*1.618)) endif return rangetop as "top of range", rangebottom as "bottom of range", tenentrylong as "anti fake out long",tenentryshort as "anti fake out short", takeprofitlong as"Long Profit Target", takeprofitshort as"Short Profit Target"

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  if time =090000 then RangeTop=highest[6](high[1]) RangeBottom=lowest[6](low[1]) therange= rangetop-rangebottom tenentrylong=((therange*.3820)+rangetop) tenentryshort=(rangebottom-(therange*.3820)) takeprofitlong=((therange*1.618)+rangetop) takeprofitshort=(rangebottom-(therange*1.618)) endif   return  rangetop as "top of range", rangebottom as "bottom of range", tenentrylong as "anti fake out long",tenentryshort as "anti fake out short", takeprofitlong as"Long Profit Target", takeprofitshort as"Short Profit Target"

   

  

  dillongr

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  10/09/2017 at 2:22 PM #48782
  Nicolas

  Like this?

  if dayofweek=currentdayofweek and time =090000 then RangeTop=highest[6](high[1]) RangeBottom=lowest[6](low[1]) therange= rangetop-rangebottom tenentrylong=((therange*.3820)+rangetop) tenentryshort=(rangebottom-(therange*.3820)) takeprofitlong=((therange*1.618)+rangetop) takeprofitshort=(rangebottom-(therange*1.618)) endif return rangetop as "top of range", rangebottom as "bottom of range", tenentrylong as "anti fake out long",tenentryshort as "anti fake out short", takeprofitlong as"Long Profit Target", takeprofitshort as"Short Profit Target"

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  if dayofweek=currentdayofweek and time =090000 then RangeTop=highest[6](high[1]) RangeBottom=lowest[6](low[1]) therange= rangetop-rangebottom tenentrylong=((therange*.3820)+rangetop) tenentryshort=(rangebottom-(therange*.3820)) takeprofitlong=((therange*1.618)+rangetop) takeprofitshort=(rangebottom-(therange*1.618)) endif   return  rangetop as "top of range", rangebottom as "bottom of range", tenentrylong as "anti fake out long",tenentryshort as "anti fake out short", takeprofitlong as"Long Profit Target", takeprofitshort as"Short Profit Target"

   

   

  

  Nicolas

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  10/09/2017 at 2:57 PM #48784
  dillongr

  S&P and Dow both hit their 61.8 open range targets

   

  

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  10/09/2017 at 3:00 PM #48785
  dillongr

  that will work,  thanks!

  

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  10/10/2017 at 7:22 AM #48852
  dillongr

  I played around last night, with some interesting results,  running it in demo now

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>=090500 and time <170000 MAL=ExponentialAverage[5](close) > close[1] MAS=ExponentialAverage[5](close) < close[1] //once tc=0 if time=090500 then RangeTop=highest[6](high[1]) RangeBottom=lowest[6](low[1]) endif //if intradaybarindex=0 then //tc=0 //endif //CL=close>RangeTop //CS=close<RangeBottom box=RangeTop-RangeBottom entryl=close>=(rangetop+(box*.15)) entrys=close<=(rangebottom-(box*.15)) //trendlong=rangetop<ExponentialAverage[5](close) //trendshort=rangebottom>entrys if not onmarket and tradingtime then if entryl and mal then buy 2 contract at market //tc=1 elsif entrys and mas then sellshort 2 contract at market //tc=1 endif set target pprofit box*2.5 endif if longonmarket then sell at ExponentialAverage[5](close)> ExponentialAverage[15](close)stop elsif shortonmarket then exitshort at ExponentialAverage[5](close)<ExponentialAverage[15](close) stop //elsif //endif endif //set stop loss 100

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  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>=090500 and time <170000 MAL=ExponentialAverage[5](close) > close[1] MAS=ExponentialAverage[5](close) < close[1] //once tc=0   if time=090500 then RangeTop=highest[6](high[1]) RangeBottom=lowest[6](low[1]) endif   //if intradaybarindex=0 then //tc=0 //endif   //CL=close>RangeTop //CS=close<RangeBottom box=RangeTop-RangeBottom entryl=close>=(rangetop+(box*.15)) entrys=close<=(rangebottom-(box*.15)) //trendlong=rangetop<ExponentialAverage[5](close) //trendshort=rangebottom>entrys   if not onmarket and tradingtime then if entryl and mal  then buy 2 contract at market //tc=1 elsif entrys and mas  then sellshort 2 contract at market //tc=1 endif set target pprofit box*2.5 endif   if longonmarket then sell at ExponentialAverage[5](close)> ExponentialAverage[15](close)stop elsif shortonmarket then exitshort at ExponentialAverage[5](close)<ExponentialAverage[15](close) stop //elsif //endif endif   //set stop loss 100

   

  

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  10/10/2017 at 8:34 AM #48867
  mamio

  This is the best I could get on Dax. The backtest on the last 30000 candles looks good.

  Open Range Dax M1 Spread 1

  defparam cumulateorders=false defparam flatafter=173000 tradingtime=dayofweek>=1 and dayofweek<=5 and time>=90000 MA=ExponentialAverage[10](close) //15 once tc=0 if time=90000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) Box=RangeTop-RangeBottom endif if intradaybarindex=0 then tc=0 endif CL=close>RangeTop and close[1]>RangeTop CS=close<RangeBottom and close[1]<RangeBottom box=RangeTop-RangeBottom if not onmarket and not tc and tradingtime then if CL and close>MA then buy 1 contract at market tc=1 elsif CS and close<MA then sellshort 1 contract at market tc=1 endif set target pprofit box*0.618 endif // Stop Loss if longonmarket then sell at RangeBottom-box*1.618 stop elsif shortonmarket then exitshort at RangeTop+box*1.618 stop endif

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  defparam cumulateorders=false defparam flatafter=173000 tradingtime=dayofweek>=1 and dayofweek<=5 and time>=90000 MA=ExponentialAverage[10](close) //15 once tc=0 if time=90000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) Box=RangeTop-RangeBottom endif if intradaybarindex=0 then tc=0 endif CL=close>RangeTop and close[1]>RangeTop CS=close<RangeBottom and close[1]<RangeBottom box=RangeTop-RangeBottom if not onmarket and not tc and tradingtime then if CL and close>MA then buy 1 contract at market tc=1 elsif CS and close<MA then sellshort 1 contract at market tc=1 endif set target pprofit box*0.618 endif // Stop Loss if longonmarket then sell at RangeBottom-box*1.618 stop elsif shortonmarket then exitshort at RangeTop+box*1.618 stop endif

   

  

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  10/10/2017 at 10:22 AM #48887
  Nicolas

  @dillongr

  There is something wrong with your exit conditions (pending orders) at lines 37 and 39. You are trying to put a stop order at 1 or 0 since you are using boolean conditions (is my first value is superior to my second one? TRUE=1 FALSE=0).

  

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